TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
From MaRDI portal
Publication:5408113
DOI10.1111/jtsa.12042zbMath1398.62053arXiv1306.1725OpenAlexW1956541840MaRDI QIDQ5408113
Habib Esmaeili, Claudia Klüppelberg
Publication date: 8 April 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.1725
maximum likelihood estimationdependence structureLévy copulaGodambe information matrixIFMinference functions for marginsreduced likelihoodmulti-variate Lévy processtwo-step parameter estimation
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Point estimation (62F10)
Related Items
Estimation of model parameters of dependent processes constructed using Lévy Copulas, Jump tail dependence in Lévy copula models, Lévy Copulas: Review of Recent Results, Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics, Compound vectors of subordinators and their associated positive Lévy copulas
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Parameter estimation of a bivariate compound Poisson process
- Parametric estimation of a bivariate stable Lévy process
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Pareto Lévy Measures and Multivariate Regular Variation
- A note on estimation for gamma and stable processes
- Inference for gamma and stable processes
- Asymptotic Statistics